Bridge-arm reactors subjected to long-term AC–DC composite currents with multiple harmonics may develop non-uniform winding temperature rise and thermal-expansion mismatch, leading to localized thermal stress concentrations and potential insulation cracking. Unlike previous studies focused mainly on purely AC conditions, this study investigates a ±800 kV dry-type air-core bridge-arm reactor and develops a thermo-mechanical model incorporating AC–DC composite currents and harmonic losses. To mitigate thermal stress concentration, an axially segmented configuration is proposed to relieve the restraint associated with cumulative axial thermal expansion. The results show that a 65% axial segmentation ratio provides the best stress-regulation performance among the investigated cases. Under AC–DC composite conditions containing second- and fifth-order harmonics, the maximum Von Mises stress and maximum first-principal stress decrease by 33.42% and 38.11%, respectively, while the stress distribution becomes more uniform. The analysis is based on a two-dimensional axisymmetric model with one-way thermo-mechanical coupling and excludes long-term cyclic thermal aging and interfacial slip between winding and insulation layers. These findings provide theoretical support for the stress-oriented structural design and reliability assessment of high-capacity bridge-arm reactors.